KeyQuant: Not your typical trend-follower

Trader Profile

Paris-based commodity trading advisor (CTA) KeyQuant SAS has put up impressive numbers in the less than three years it has been trading and has grown assets at an impressive clip as well. The medium- to long-term trend-following CTA has produced a compound annual return of 24.87% with a worst drawdown of 11.55% since launching in January 2010.

Perhaps more impressively, it has garnered $60 million under management in the solid but hard to crack — for an emerging manager — diversified trend-following space. But if you are one of those allocators who automatically turn the page when confronted by another emerging trend-follower, you may want to take a closer look at KeyQuant, because it obviously is doing something right — and different — judging from its solid if unspectacular performance, 9.1%, in the difficult environment for trend-followers in 2011.

The two principals, Robert Baguenault de Vieville and Raphaël Gelrubin, both worked at Man Fidex Ltd., a subsidiary of Man Investments, from 2004-2007, building quantitative models. Baguenault de Vieville was responsible for quantitative research and Gelrubin was responsible for risk management. They worked on building non-correlated models to complement Man’s AHL program and became friends and partners.

Their work at Man Fidex emboldened the two friends to build their own methodology to manage money. And though the Key Trends program is correctly identified as a trend-following approach, it is pretty unique as its performance indicates.

First, they worked on finding trends earlier in their development to take advantage of a greater portion of the trend. “We started with a clean sheet. We didn’t want to use [common] trend-following tools,” says Gelrubin. “Key Trends is a pure medium-to-long-term trend-following system. There are no breakouts, no mean reversion, no pattern recognition and no moving averages. [We] use two trend-following tools: A time-sensitive price regression based model and a non-time based investor sentiment model.”

About the Author

Editor-in-Chief of Modern Trader, Daniel Collins is a 25-year veteran of the futures industry having worked on the trading floors of both the Chicago Board of Trade and Chicago Mercantile Exchange. Dan joined Futures magazine in 2001, before the name change to Modern Trader, and in 2005 he was promoted to Managing Editor, responsible for overseeing all the content that went into Futures and futuresmag.com. Dan’s incisive reporting and no-holds barred commentary places him among the most recognized national media figures covering futures, derivative trading and alternative investments.